| Publication | Date of Publication | Type |
|---|
| Valuation of guaranteed lifelong withdrawal benefit with the long-term care option | 2025-01-17 | Paper |
| A general framework to simulate diffusions with discontinuous coefficients and local times | 2024-11-14 | Paper |
| Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk | 2024-08-21 | Paper |
| Multi-block alternating direction method of multipliers for ultrahigh dimensional quantile fused regression | 2024-06-12 | Paper |
| Explicit solution to the economic index of riskiness | 2024-01-19 | Paper |
| A unified fused Lasso approach for sparse and blocky feature selection in regression and classification | 2023-11-18 | Paper |
| Optimal investment problem under behavioral setting: a Lagrange duality perspective | 2023-11-15 | Paper |
| Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation | 2023-09-25 | Paper |
| Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times | 2023-06-16 | Paper |
| Laplace bounds approximation for American options | 2022-11-22 | Paper |
| A new representation of the risk-neutral distribution and its applications | 2022-05-27 | Paper |
| Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient | 2022-03-11 | Paper |
| SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS | 2022-03-11 | Paper |
| Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks | 2021-12-14 | Paper |
| On the optimal design of the randomized unbiased Monte Carlo estimators | 2021-12-13 | Paper |
| CTMC integral equation method for American options under stochastic local volatility models | 2021-11-16 | Paper |
| Non-convex isotonic regression via the Myersonian approach | 2021-11-12 | Paper |
| Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates | 2021-07-14 | Paper |
| A Markov chain approximation scheme for option pricing under skew diffusions | 2021-06-02 | Paper |
| Optimal unbiased estimation for expected cumulative discounted cost | 2020-05-27 | Paper |
| Closed-form variance swap prices under general affine GARCH models and their continuous-time limits | 2020-01-20 | Paper |
| Variance swaps valuation under non-affine GARCH models and their diffusion limits | 2019-09-26 | Paper |
| Revisiting advance disclosure of insider trading | 2019-08-05 | Paper |
| Systemic risk and optimal fee for central clearing counterparty under partial netting | 2019-06-11 | Paper |
| Impact of flexible periodic premiums on variable annuity guarantees | 2019-05-28 | Paper |
| Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model | 2019-05-28 | Paper |
| Prices and asymptotics for discrete variance swaps | 2018-09-11 | Paper |
| Valuation of American strangles through an optimized lower-upper bound approach | 2018-08-10 | Paper |
| Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes | 2018-05-30 | Paper |
| Hybrid Laplace transform and finite difference methods for pricing American options under complex models | 2018-03-09 | Paper |
| On the martingale property in stochastic volatility models based on time-homogeneous diffusions | 2017-03-13 | Paper |
| Omega diffusion risk model with surplus-dependent tax and capital injections | 2016-10-06 | Paper |
| Stochastic areas of diffusions and applications | 2016-01-28 | Paper |
| Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions | 2014-09-08 | Paper |
| A new proof of an Engelbert-Schmidt type zero-one law for time-homogeneous diffusions | 2014-06-11 | Paper |
| Omega risk model with tax | 2014-03-29 | Paper |
| Stochastic areas of diffusions and applications in risk theory | 2013-12-01 | Paper |
| Correction note for ``The large-maturity smile for the Heston model | 2013-02-07 | Paper |
| Nearly exact option price simulation using characteristic functions | 2013-01-16 | Paper |
| Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee | 2010-11-30 | Paper |
